Lehman Brothers to price 24% reverse exchangeables linked to Valero

By Angela McDaniels

Tacoma, Wash., June 18 - Lehman Brothers Holdings Inc. plans to price reverse exchangeable notes due Sept. 27, 2008 linked to the common stock of Valero Energy Corp., according to an FWP filing with the Securities and Exchange Commission.

The three-month notes will pay 6% for an annualized coupon of 24%. Interest will be payable monthly.

The payout at maturity will be par unless Valero stock falls by more than 20% during the life of the notes and finishes below the initial share price, in which case the payout will be a number of Valero shares equal to par divided the initial share price or, at Lehman's option, the equivalent value in cash.

The notes are expected to price on June 20 and settle on June 27.

Lehman Brothers Inc. will be the underwriter.

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